Products of non-additive measures: a Fubini-like theorem

Christian Bauer

Theory and Decision, 2012, vol. 73, issue 4, 647 pages

Abstract: For non-additive set functions, the independent product, in general, is not unique and the Fubini theorem is restricted to slice-comonotonic functions. In this paper, we use the representation theorem of Gilboa and Schmeidler (Math Oper Res 20:197–212, 1995 ) to extend the Möbius product for non-additive set functions to non-finite spaces. We extend the uniqueness result of Ghirardato (J Econ Theory 73:261–291, 1997 ) for products of two belief functions and weaken the requirements on the marginals necessary to obtain the Fubini property in the product. More importantly, we show that for the Möbius product one side of the Fubini theorem holds for all integrable functions if one of the marginals either is a probability or a convex combination of a chain of unanimity games, i.e., we relax the requirement of slice-comonotonicity and enrich the set of possible applications. Copyright Springer Science+Business Media New York 2012

Keywords: Möbius inverse; Fubini; Capacity; Product measure; Totally monotone; Belief function; Choquet integral; Knightian uncertainty; D81; D84 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s11238-012-9324-5

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